Authors
Rudolf Gorenflo, Francesco Mainardi, Enrico Scalas, Marco Raberto
Publication date
2001
Conference
Mathematical Finance: Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000
Pages
171-180
Publisher
Birkhäuser Basel
Description
A proper transition to the so-called diffusion or hydrodynamic limit is discussed for continuous time random walks. It turns out that the probability density function for the limit process obeys a fractional diffusion equation. The relevance of these results for financial applications is briefly discussed.
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R Gorenflo, F Mainardi, E Scalas, M Raberto - Mathematical Finance: Workshop of the Mathematical …, 2001